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Second-order (s.o.) multi-stage fixed-width confidence interval (FWCI) estimation strategies for comparing location parameters from two negative exponential (NE) populations: illustrations with cancer data
We consider two negative exponential (NE) populations with unknown location parameters and unknown but unequal scale parameters. We develop fixed-width...
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Multi-stage Minimum Risk Point Estimation Strategies for Comparing the Locations from Two Negative Exponential Models and Second-Order Asymptotics: Illustrations with Simulated Data and Bone Marrow Transplant Data
The negative exponential (NE) distributions have been used in the literature for studying the growth of certain kinds of tumors in cancer research in...
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Correcting spot power variation estimator via Edgeworth expansion
In this paper, we propose an estimator of power spot volatility of order p through Edgeworth expansion. We provide a precise description of how to...
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Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model
Consider a compound renewal risk model, in which a single accident may cause more than one claim. Under the condition that the common distribution of...
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A General Theory of Three-Stage Estimation Strategy with Second-Order Asymptotics and Its Applications
We begin with a generic expression of an optimal fixed-sample-size n ∗ which has an expression λ g ( 𝜃 ) with λ > 0 and g ( 𝜃 ) > 0 where 𝜃 is an unknown...
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Valid Edgeworth Expansion of the Bootstrap t-statistic of the Whittle MLE for Linear Regression Models with Long-Memory Residuals
In this paper we provide a valid Edgeworth expansion of the parametric bootstrap t-statistic for the Whittle maximum likelihood estimator of a linear...
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Explicit Non-Asymptotic Bounds for the Distance to the First-Order Edgeworth Expansion
In this article, we obtain explicit bounds on the uniform distance between the cumulative distribution function of a standardized sum
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A new approach to nonparametric estimation of multivariate spectral density function using basis expansion
This paper develops a nonparametric method for estimating the spectral density of multivariate stationary time series using basis expansion. A...
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Basis expansion approaches for functional analysis of variance with repeated measures
The methodological contribution in this paper is motivated by biomechanical studies where data characterizing human movement are waveform curves...
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On general asymptotically second-order efficient purely sequential fixed-width confidence interval (FWCI) and minimum risk point estimation (MRPE) strategies for a normal mean and optimality
We develop a generalized class of purely sequential sampling strategies associated with both fixed-width confidence interval (FWCI) and minimum risk...
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Asymptotic linear expansion of regularized M-estimators
Parametric high-dimensional regression requires regularization terms to get interpretable models. The respective estimators correspond to regularized...
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Theory of new second-order expansions for the moments of \({100\rho \%}\) accelerated sequential stop** times in normal mean estimation problems when \({0<\rho <1}\) is arbitrary
Purely sequential decision strategies to develop a fixed-width confidence interval (FWCI) or a minimum risk point estimator (MRPE) for the mean of a...
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High-order asymptotic approximations for improved inference under exceptionally low false positive error rates
A methodology for obtaining accurate approximations to p -values of likelihood-based test statistics for a scalar parameter is proposed. The procedure...
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The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation
The higher-order asymptotic properties provide better approximation of the bias for a class of estimators. The first-order asymptotic properties of...
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Detecting deviations from second-order stationarity in locally stationary functional time series
A time-domain test for the assumption of second-order stationarity of a functional time series is proposed. The test is based on combining individual...
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Algebraic Properties and Validity of Univariate and Multivariate Cornish–Fisher Expansion
It has been long known that the degree of the polynomial of order \(n^{-k/2}\) in Cornish–Fisher expansion is \(k+1\) but the proof was not given. We...
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Convergence of estimative density: criterion for model complexity and sample size
For a parametric model of distributions, the closest distribution in the model to the true distribution located outside the model is considered....
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Quadratic Prediction of Time Series via Auto-Cumulants
Nonlinear prediction of time series can offer potential accuracy gains over linear methods when the process is nonlinear. As there are numerous...
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Asymptotic Expansions for Market Risk Assessment: Evidence in Energy and Commodity Indices
The increasing volatility experienced in financial and commodity markets has motivated the search of frequency functions with more complex attributes...